FORWARD AND FUTURES PRICES WITH BUBBLES

DOI10.1142/S0219024909005518zbMath1195.91158OpenAlexW2091682836MaRDI QIDQ3655550

Philip E. Protter, Robert A. Jarrow

Publication date: 8 January 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005518

zbMATH Keywords

forwardinterest ratesfutureslocal martingalespeculative bubblesinverse Bessel process

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

The Formation of Financial Bubbles in Defaultable Markets ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Theory of Cryptocurrency Interest Rates ⋮ Liquidity Based Modeling of Asset Price Bubbles via Random Matching ⋮ Shifting martingale measures and the birth of a bubble as a submartingale ⋮ Convenience yields ⋮ Foreign currency bubbles ⋮ WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES ⋮ Financial Asset Bubbles in Banking Networks ⋮ A Mathematical Theory of Financial Bubbles ⋮ THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS ⋮ Asset price bubbles in markets with transaction costs ⋮ Strict local martingales and bubbles

Cites Work

• Unnamed Item
• Martingales and stochastic integrals. I
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Mathematics of Speculative Price

This page was built for publication: FORWARD AND FUTURES PRICES WITH BUBBLES